Differential games[edit]
Differential games such as the continuous pursuit and evasion game are continuous games where the evolution of the players' state variables is governed by differential equations. The problem of finding an optimal strategy in a differential game is closely related to the optimal control theory. In particular, there are two types of strategies: the open-loop strategies are found using the Pontryagin maximum principle while the closed-loop strategies are found using Bellman's Dynamic Programming method.
A particular case of differential games are the games with a random time horizon.[51] In such games, the terminal time is a random variable with a given probability distributionfunction. Therefore, the players maximize the mathematical expectation of the cost function. It was shown that the modified optimization problem can be reformulated as aDISCOUNTED differential game over an infinite time interval.